I don't know how much the link would have been used (maybe by the King or Queen going to Windsor?) but presumably it was removed when the station was rebuilt in 1922.
A curious feature, however, was that mileages from Waterloo were measured from the original junction with the South Eastern lines, and although the connection is long gone that remains the case today. The Quail track diagrams show that, if you were standing at the buffer stops at Waterloo, you would officially be 6 chains down the line already (or 7 chains in the case of the disused International platforms 20-24)
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